If you're familiar with Python, you could try the Python Script plug-in for N++.
You would set up a callback script for the document-closed-event. Inside it do some iteration through all opened docs, and when there's only 1 left with no text in it, then terminate N++.

Personally I mapped the keys "Alt + x" to "Exit" Notepad++, which is easier to grap then the usually working "Alt + F4".

/EDIT

I actually quite liked your idea, so I've quickly tried it myself.
It took ~20 minutes to figure it out. Here's a complete solution:

def shutdownNppOnLastFileClosed(args):
import os
files = notepad.getFiles()
# there are always at least 2 'buffers' open in N++
if len(files) == 2:
currentBufferID = notepad.getCurrentBufferID()
for (filename, bufferID, index, view) in files:
if os.path.exists(filename):
break
notepad.activateBufferID(bufferID)
if editor.getLength() > 0:
break
# TODO: just to be on the safe side - if we
# reached here, we actually should also check
# if the 2 left empty buffers are not unsaved,
# but I couldn't find a way to do that.
else:
# following 'menuCommand' looks cleaner than
# the 'sys.exit' but it currently deadlocks N++:
#notepad.menuCommand(MENUCOMMAND.FILE_EXIT)
sys.exit(0)
notepad.activateBufferID(currentBufferID)
notepad.callback(shutdownNppOnLastFileClosed, [NOTIFICATION.FILECLOSED])